Repurchase Agreements

12 Months Ended

Dec. 31, 2019

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements

Note 7 - Repurchase Agreements

At December 31, 2019, we had MRAs with 49 counterparties and had $11,354,547 in outstanding borrowings with 25 of those counterparties. At December 31, 2018, we had MRAs with 48 counterparties and had $7,037,651 in outstanding borrowings with 23 of those counterparties.

The following table represents the contractual repricing regarding our repurchase agreements to finance MBS purchases at December 31, 2019 and December 31, 2018. No amounts below are subject to offsetting.

	Balance		Weighted Average Contractual Rate		Weighted Average Maturity in days	Haircut (1)
December 31, 2019
Agency Securities
≤ 30 days	$	10,241,137	2.56	%	8	4.35	%
> 30 days to ≤ 60 days	426,147		1.99	%	34	4.61	%
Total or Weighted Average	10,667,284		2.54	%	9	4.36	%
Credit Risk and Non-Agency Securities
≤ 30 days	687,263		2.45	%	15	16.25	%
Total or Weighted Average	$	11,354,547	2.54	%	9	5.16	%
December 31, 2018
Agency Securities
≤ 30 days	$	5,213,145	3.03	%	10	4.25	%
> 30 days to ≤ 60 days	1,243,678		2.60	%	34	4.10	%
Total or Weighted Average	6,456,823		2.95	%	14	4.22	%
Credit Risk and Non-Agency Securities
≤ 30 days	580,828		3.23	%	14	17.79	%
Total or Weighted Average	$	7,037,651	2.97	%	14	5.48	%

(1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount.

Our repurchase agreements require that we maintain adequate pledged collateral. A decline in the value of the MBS pledged as collateral for borrowings under repurchase agreements could result in the counterparties demanding additional collateral pledges or liquidation of some of the existing collateral to reduce borrowing levels. We manage this risk by maintaining an adequate balance of available cash and unpledged securities. An event of default or termination event under the standard MRA would give our counterparty the option to terminate all repurchase transactions existing with us and require any amount due to be payable immediately. In addition, certain of our MRAs contain a restriction that prohibits our leverage from exceeding twelve times our stockholders’ equity as well as termination events in the case of significant reductions in equity capital. We also may receive cash or securities as collateral from our derivative counterparties which we may use as additional collateral for repurchase agreements. Certain interest rate swap contracts provide for cross collateralization and cross default with repurchase agreements and other contracts with the same counterparty.

At December 31, 2019 and December 31, 2018, BUCKLER accounted for 45.0% and 49.8%, respectively, of our aggregate borrowings and had an amount at risk of 14.8% and 13.0%, respectively, of our total stockholders' equity with a weighted average maturity of 7 days and 14 days, respectively, on repurchase agreements (See Note 15 - Related Party Transactions).

In addition, at December 31, 2019, we had 2 repurchase agreement counterparties that individually accounted for between 5% and 10% of our aggregate borrowings. In total, these counterparties accounted for approximately 12.7% of our repurchase agreement borrowings outstanding at December 31, 2019. At December 31,

2018, we had 1 repurchase agreement counterparty that individually accounted for between 5% and 10% of our aggregate borrowings. In total, this counterparty accounted for 6.8% of our repurchase agreement borrowings at December 31, 2018.